Extremes of diffusions over fixed intervals

DOI10.1016/0304-4149(93)90045-6zbMath0793.60088OpenAlexW2095315652MaRDI QIDQ1312308

J. M. P. Albin

Publication date: 31 January 1994

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90045-6

zbMATH Keywords

Bessel processBrownian motiondiffusion processextremabranching diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Sample path properties (60G17)

Related Items (2)

Upper and lower classes for \(\mathbb{L}^ 2\)- and \(\mathbb{L}^ p\)-norms of Brownian motion and norms of \(\alpha\)-stable motion ⋮ A continuous non-Brownian motion martingale with Brownian motion marginal distributions

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• On extremal theory for stationary processes
• Sojourns and extremes of stationary processes
• On the general law of iterated logarithm with application to selfsimilar processes and to Gaussian processes in \(\mathbb{R}{}^ n\) and Hilbert space
• Boundary Crossing Probabilities for Stationary Gaussian Processes and Brownian Motion
• Sojourns and extremes of a diffusion process on a fixed interval
• On the time spent above a level by Brownian motion with negative drift
• The First Passage Problem for a Continuous Markov Process

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